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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 96.4 91.2 93.4 93.0
Weighted Avg. Price 100.8 94.3 93.4 98.8
Avg. Price Bottom 5 Trades 92.1 81.2 90.1 58.2
2nd Quartile Price 95.0 90.5 91.7 93.0
3rd Quartile Price 98.3 92.1 93.5 96.5
4th Quartile Price 98.9 95.6 95.9 99.8
Avg. Price Top 5 Trades 100.8 97.1 97.0 101.1
Standard Deviation 3.8 5.7 2.8 11.1
VOLUME OF TRADES (000'S) 355.2 4,087.5 3,919.5 309,515.5
Customer Buy 231.0 355.9 691.2 94,885.1
Customer Sell 38.0 3,450.4 467.9 163,025.1
Dealer to Dealer 86.2 281.2 2,760.4 51,605.2
<= $1MM 355.2 820.8 3,919.5 9,635.0
<= $10MM - * - 55,008.2
<= $100MM - - - 244,872.3
> $100MM - - - -
NUMBER OF TRADES 32 33 27 89
Customer Buy 8 9 9 26
Customer Sell 13 12 7 30
Dealer to Dealer 11 12 11 33
<= $1MM 32 32 27 61
<= $10MM - * - 21
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.8 91.5 92.8 91.2
Weighted Avg. Price 99.1 91.3 93.8 98.3
Avg. Price Bottom 5 Trades 90.6 76.9 90.6 44.9
2nd Quartile Price 96.8 89.6 93.4 84.6
3rd Quartile Price 98.4 94.6 94.5 98.1
4th Quartile Price 99.5 97.6 96.3 100.0
Avg. Price Top 5 Trades 101.2 99.4 95.6 101.3
Standard Deviation 2.6 7.8 4.3 15.2
VOLUME OF TRADES (000'S) 420.2 6,316.7 1,872.2 450,654.2
Customer Buy 148.7 2,805.2 * 100,621.7
Customer Sell 54.3 1,671.0 * 181,512.0
Dealer to Dealer 217.2 1,840.5 * 168,520.5
<= $1MM 420.2 2,817.2 859.7 9,411.5
<= $10MM - * * 64,116.1
<= $100MM - - - 113,786.4
> $100MM - - - *
NUMBER OF TRADES 89 45 10 77
Customer Buy 22 12 * 31
Customer Sell 28 15 * 26
Dealer to Dealer 39 18 * 20
<= $1MM 89 42 9 39
<= $10MM - * * 31
<= $100MM - - - 5
> $100MM - - - *
GNMA
AVERAGE PRICE 93.7 88.6 87.9 89.3
Weighted Avg. Price 98.1 88.0 94.9 97.0
Avg. Price Bottom 5 Trades 80.4 65.6 82.0 40.9
2nd Quartile Price 93.9 84.6 90.5 85.6
3rd Quartile Price 96.3 95.0 95.0 97.8
4th Quartile Price 99.0 97.8 98.3 100.0
Avg. Price Top 5 Trades 100.5 99.4 95.9 104.3
Standard Deviation 8.3 11.9 15.6 17.5
VOLUME OF TRADES (000'S) 352.6 8,704.8 199.2 307,829.4
Customer Buy 117.1 7,583.5 * 112,299.7
Customer Sell 59.6 218.3 * 133,416.3
Dealer to Dealer 175.9 903.0 * 62,113.4
<= $1MM 352.6 1,552.7 199.2 17,369.0
<= $10MM - * - 104,342.4
<= $100MM - - - 186,118.0
> $100MM - - - -
NUMBER OF TRADES 75 62 8 219
Customer Buy 13 19 * 96
Customer Sell 23 14 * 58
Dealer to Dealer 39 29 * 65
<= $1MM 75 61 8 183
<= $10MM - * - 26
<= $100MM - - - 10
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - * - *
Weighted Avg. Price - * - *
Avg. Price Bottom 5 Trades - * - *
2nd Quartile Price - * - *
3rd Quartile Price - * - *
4th Quartile Price - * - *
Avg. Price Top 5 Trades - * - *
Standard Deviation - * - *
VOLUME OF TRADES (000'S) - * - *
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - *
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 50.1 * -
Weighted Avg. Price - 74.1 * -
Avg. Price Bottom 5 Trades - 34.8 * -
2nd Quartile Price - 9.0 * -
3rd Quartile Price - 75.0 * -
4th Quartile Price - 75.5 * -
Avg. Price Top 5 Trades - 64.2 * -
Standard Deviation - 34.8 * -
VOLUME OF TRADES (000'S) - 9,672.5 * -
Customer Buy - * - -
Customer Sell - * * -
Dealer to Dealer - * - -
<= $1MM - * * -
<= $10MM - 9,517.3 - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - 8 * -
Customer Buy - * - -
Customer Sell - * * -
Dealer to Dealer - * - -
<= $1MM - * * -
<= $10MM - 5 - -
<= $100MM - - - -
> $100MM - - - -
GNMA
AVERAGE PRICE - * - *
Weighted Avg. Price - * - *
Avg. Price Bottom 5 Trades - * - *
2nd Quartile Price - * - *
3rd Quartile Price - * - *
4th Quartile Price - * - *
Avg. Price Top 5 Trades - * - *
Standard Deviation - * - *
VOLUME OF TRADES (000'S) - * - *
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * - *
Customer Buy - * - *
Customer Sell - * - *
Dealer to Dealer - * - -
<= $1MM - * - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
* Indicates trade count is less than 5
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.
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